| Metric | EQW | ^DJI | SPY | MV (80d) | BL (80d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 91.0% | 99.0% |
| Cumulative Return | 348.15% | 320.26% | 539.04% | 1,005.13% | 405.64% |
| CAGR﹪ | 6.16% | 5.89% | 7.67% | 10.05% | 6.67% |
| Sharpe | 0.39 | 0.4 | 0.48 | 0.62 | 0.43 |
| Prob. Sharpe Ratio | 97.48% | 97.76% | 99.14% | 99.89% | 98.32% |
| Smart Sharpe | 0.37 | 0.38 | 0.45 | 0.58 | 0.4 |
| Sortino | 0.55 | 0.57 | 0.67 | 0.87 | 0.59 |
| Smart Sortino | 0.51 | 0.53 | 0.63 | 0.82 | 0.56 |
| Sortino/√2 | 0.39 | 0.4 | 0.48 | 0.62 | 0.42 |
| Smart Sortino/√2 | 0.36 | 0.38 | 0.45 | 0.58 | 0.39 |
| Omega | 1.08 | 1.08 | 1.09 | 1.12 | 1.08 |
| Max Drawdown | -62.16% | -53.78% | -55.19% | -45.13% | -60.3% |
| Max DD Date | 2009-03-09 | 2009-03-09 | 2009-03-09 | 2002-12-31 | 2009-03-09 |
| Max DD Period Start | 2007-11-01 | 2007-10-10 | 2007-10-10 | 2000-09-05 | 2007-11-01 |
| Max DD Period End | 2013-10-17 | 2013-03-04 | 2012-08-15 | 2004-08-31 | 2013-08-08 |
| Longest DD Days | 2178 | 2450 | 2404 | 1457 | 2108 |
| Volatility (ann.) | 20.73% | 18.55% | 19.53% | 18.27% | 19.72% |
| Calmar | 0.1 | 0.11 | 0.14 | 0.22 | 0.11 |
| Skew | -0.29 | -0.11 | -0.01 | -0.22 | -0.32 |
| Kurtosis | 11.27 | 12.25 | 11.16 | 10.11 | 13.14 |
| Expected Daily | 0.02% | 0.02% | 0.03% | 0.04% | 0.03% |
| Expected Monthly | 0.5% | 0.48% | 0.62% | 0.8% | 0.54% |
| Expected Yearly | 5.94% | 5.68% | 7.39% | 9.68% | 6.43% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -2.12% | -1.89% | -1.99% | -1.85% | -2.01% |
| Expected Shortfall (cVaR) | -3.55% | -3.55% | -3.55% | -3.55% | -3.55% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.08 | 1.08 | 1.09 | 1.12 | 1.08 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.94 | 0.96 | 0.92 | 1.0 | 0.93 |
| Outlier Win Ratio | 3.76 | 4.25 | 4.08 | 4.62 | 4.08 |
| Outlier Loss Ratio | 3.76 | 4.29 | 3.96 | 3.95 | 3.95 |
| MTD | 2.37% | 2.57% | 5.17% | 4.27% | 1.86% |
| 3M | 6.97% | 10.94% | 12.06% | 3.64% | 4.29% |
| 6M | 9.5% | 14.12% | 16.79% | 0.37% | 6.18% |
| YTD | 0.09% | 3.83% | 6.85% | 0.3% | -1.91% |
| 1Y | 8.61% | 18.42% | 29.36% | 0.73% | 5.52% |
| 3Y (ann.) | 1.78% | 6.31% | 10.76% | -2.92% | 0.21% |
| 5Y (ann.) | 6.14% | 9.1% | 14.72% | 2.39% | 4.89% |
| 10Y (ann.) | 4.57% | 9.29% | 12.72% | 5.09% | 4.09% |
| All-time (ann.) | 6.16% | 5.89% | 7.67% | 10.05% | 6.67% |
| Best Day | 14.28% | 11.37% | 14.52% | 11.97% | 13.84% |
| Worst Day | -11.79% | -12.93% | -10.94% | -12.2% | -11.8% |
| Best Month | 16.66% | 13.95% | 12.7% | 15.41% | 17.22% |
| Worst Month | -23.8% | -14.06% | -16.52% | -12.57% | -22.07% |
| Best Year | 48.56% | 26.5% | 32.31% | 70.35% | 53.62% |
| Worst Year | -44.7% | -33.84% | -36.8% | -29.39% | -41.96% |
| Avg. Drawdown | -3.02% | -2.3% | -2.05% | -3.2% | -2.55% |
| Avg. Drawdown Days | 54 | 46 | 32 | 40 | 50 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.18 | 0.14 | 0.17 | 0.15 | 0.15 |
| Serenity Index | 0.4 | 0.4 | 0.46 | 0.56 | 0.45 |
| Avg. Up Month | 4.41% | 3.45% | 3.75% | 4.57% | 4.3% |
| Avg. Down Month | -4.99% | -4.04% | -4.25% | -4.51% | -4.77% |
| Win Days | 53.3% | 53.12% | 54.29% | 53.6% | 53.71% |
| Win Month | 58.61% | 60.93% | 62.58% | 59.44% | 59.4% |
| Win Quarter | 63.37% | 65.35% | 70.3% | 66.67% | 64.0% |
| Win Year | 65.38% | 69.23% | 76.92% | 73.08% | 61.54% |
| Year | EQW | ^DJI | SPY | MV (80d) | BL (80d) |
|---|---|---|---|---|---|
| 1999 | 16.93 | 22.39 | 19.28 | 27.27 | 7.79 |
| 2000 | -7.54 | -4.22 | -7.41 | 15.79 | -6.68 |
| 2001 | -16.16 | -5.12 | -10.11 | -32.68 | -13.17 |
| 2002 | -9.94 | -15.11 | -20.83 | -21.51 | -3.03 |
| 2003 | 40.78 | 23.95 | 26.20 | 43.40 | 43.87 |
| 2004 | 25.60 | 3.69 | 10.78 | 40.73 | 23.79 |
| 2005 | 12.62 | -0.08 | 5.25 | 12.58 | 14.81 |
| 2006 | 29.23 | 15.58 | 15.21 | 27.39 | 30.46 |
| 2007 | 15.49 | 7.29 | 6.28 | 34.81 | 19.13 |
| 2008 | -48.95 | -34.13 | -37.36 | -21.24 | -44.34 |
| 2009 | 41.61 | 20.17 | 26.93 | 56.70 | 43.43 |
| 2010 | 12.86 | 11.76 | 15.63 | 14.95 | 10.92 |
| 2011 | -11.18 | 7.59 | 4.53 | -13.97 | -11.81 |
| 2012 | 21.58 | 7.69 | 15.64 | 8.02 | 22.19 |
| 2013 | 19.55 | 24.03 | 28.62 | 23.28 | 17.55 |
| 2014 | -4.95 | 7.84 | 13.27 | 8.63 | -2.97 |
| 2015 | -0.29 | -1.07 | 2.41 | 0.02 | -0.40 |
| 2016 | 5.44 | 13.38 | 12.18 | 20.74 | 4.24 |
| 2017 | 24.15 | 22.61 | 19.88 | 18.69 | 24.83 |
| 2018 | -12.32 | -4.20 | -3.23 | -6.75 | -12.51 |
| 2019 | 20.38 | 20.94 | 27.97 | 14.45 | 19.89 |
| 2020 | 14.37 | 13.82 | 22.47 | 11.60 | 12.51 |
| 2021 | 13.35 | 17.94 | 26.11 | 13.95 | 13.03 |
| 2022 | -12.96 | -7.24 | -17.13 | -24.93 | -14.36 |
| 2023 | 14.26 | 13.49 | 24.11 | 9.87 | 13.72 |
| 2024 | 0.20 | 3.81 | 6.73 | 0.46 | -1.82 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2013-10-17 | -62.16 | 2178 |
| 2000-01-04 | 2004-01-02 | -42.42 | 1460 |
| 2020-01-21 | 2020-11-13 | -36.40 | 298 |
| 2021-11-09 | 2024-02-23 | -30.17 | 837 |
| 2014-07-07 | 2017-05-01 | -24.39 | 1030 |
| 2018-01-29 | 2019-12-31 | -21.06 | 702 |
| 2006-05-10 | 2006-10-13 | -15.78 | 157 |
| 2007-07-13 | 2007-09-28 | -13.07 | 78 |
| 1999-01-07 | 1999-04-26 | -11.73 | 110 |
| 2004-02-18 | 2004-09-20 | -11.43 | 216 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| 2007-07-20 | 2007-09-28 | -8.25 | 71 |
| 2014-01-02 | 2014-04-29 | -7.26 | 118 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| 2020-09-03 | 2020-11-10 | -9.44 | 69 |
| 2000-01-20 | 2000-03-16 | -9.30 | 57 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-09-05 | 2004-08-31 | -45.13 | 1457 |
| 2021-11-15 | 2024-02-23 | -34.87 | 831 |
| 2020-02-20 | 2020-11-25 | -32.95 | 280 |
| 2007-10-30 | 2009-05-29 | -30.76 | 578 |
| 2010-04-06 | 2010-10-12 | -21.76 | 190 |
| 2011-02-18 | 2013-05-07 | -21.62 | 810 |
| 2006-05-09 | 2006-10-04 | -16.08 | 149 |
| 2000-03-06 | 2000-08-11 | -15.65 | 159 |
| 2018-09-21 | 2019-12-13 | -15.52 | 449 |
| 2015-08-11 | 2016-03-28 | -13.94 | 231 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-11-01 | 2013-08-08 | -60.30 | 2108 |
| 2018-01-29 | 2020-11-23 | -37.82 | 1030 |
| 2000-01-04 | 2003-10-15 | -34.37 | 1381 |
| 2021-11-09 | 2024-02-23 | -29.97 | 837 |
| 2014-07-07 | 2017-04-21 | -22.61 | 1020 |
| 2006-05-10 | 2006-10-04 | -15.36 | 148 |
| 2004-02-18 | 2004-09-30 | -13.40 | 226 |
| 2007-07-13 | 2007-09-25 | -12.15 | 75 |
| 2007-02-27 | 2007-03-23 | -8.52 | 25 |
| 1999-05-05 | 1999-09-08 | -7.12 | 127 |